منابع مشابه
Nonparametric Expectile Regression for Conditional Autoregressive Expected Shortfall Estimation
In this chapter, we estimate the Expected Shortfall (ES) in conditional autoregressive expectile models by using a nonparametric multiple expectile regression via gradient tree boosting. This approach has the advantages generated by the flexibility of not having to rely on data assumptions and avoids the drawbacks and fragilities of a restrictive estimator such as Historical Simulation. We cons...
متن کاملWeighted Nadaraya-Watson estimation of conditional expected shortfall
This paper addresses the problem of nonparametric estimation of the conditional expected shortfall (CES) which has gained popularity in financial risk management. We propose a new nonparametric estimator of the CES. The proposed estimator is defined as a conditional counterpart of the sample average estimator of the unconditional expected shortfall, where the empirical distribution function is ...
متن کاملThe Evaluation of Systemic Risk in the Iran Banking System by Marginal Expected Shortfall (MES) Criterion
Today, Systemic Risk is being analyzed as one of the major issues in financial institutions. Banks are one of the institutions that can be linked to systemic risk based on global experience. Therefore, in the study, we evaluate the systemic risk in the banking system of the country via the marginal expected shortfall (MES) criterion. For the purpose of the present study, 17 banks listed on the ...
متن کاملExpected Shortfall and Beyond
Abstract. Financial institutions have to allocate so-called economic capital in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a risk measure, i.e. a function mapping random variables to the real numbers. Nowadays value-atrisk, which is defined as a fixed level quantile of the random variable under consideratio...
متن کاملNonparametric Estimation of Expected Shortfall
The paper evaluates the properties of nonparametric estimators of the expected shortfall, an increasingly popular risk measure in financial risk management. It is found that the existing kernel estimator based on a single bandwidth does not offer variance reduction, which is surprising considering that kernel smoothing reduces the variance of estimators for the value at risk and the distributio...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Extremes
سال: 2021
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-020-00403-1